Vol Players Scope Russell Options

​Some investors are looking at opportunities to play potential quirks in implied volatility levels on the Russell 2000 index, while the Standard & Poor’s 500 remains near all-time highs and with relatively rich implied vols. The thinking is that the mid-cap companies that make up the Russell 2000 would likely under perform as the turning economic cycle slows growth and starts to put pressure on costs and margins. But with significant auto-callable issuance now tied to U.S. indices and in particular the Russell, it is possible that implied volatility levels on the index could also fall with spot, making for a potentially interesting dynamic for vol investors, according to Greg Boutle, U.S. head of equity and derivative strategy at BNP Paribas in New York.